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Article 269a - Treatment of non-performing exposures (NPE) securitisations

Article 269a

Treatment of non-performing exposures (NPE) securitisations

1.  

For the purposes of this Article:

(a) 

NPE securitisation’ means an NPE securitisation as defined in point (25) of Article 2 of Regulation (EU) 2017/2402;

(b) 

qualifying traditional NPE securitisation’ means a traditional NPE securitisation where the non-refundable purchase price discount is at least 50 % of the outstanding amount of the underlying exposures at the time they were transferred to the SSPE.

2.  
The risk weight for a position in an NPE securitisation shall be calculated in accordance with Article 254 or 267. The risk weight shall be subject to a floor of 100 %, except when Article 263 is applied.
3.  
By way of derogation from paragraph 2 of this Article, institutions shall assign a risk weight of 100 % to the senior securitisation position in a qualifying traditional NPE securitisation, except when Article 263 is applied.
4.  
Institutions that apply the IRB Approach to any exposures in the pool of underlying exposures in accordance with Chapter 3 and that are not permitted to use own estimates of LGD and conversion factors for such exposures shall not use the SEC-IRBA for the calculation of risk-weighted exposure amounts for a position in an NPE securitisation and shall not apply paragraph 5 or 6.
5.  
For the purposes of Article 268(1), expected losses associated with exposures underlying a qualifying traditional NPE securitisation shall be included after deduction of the non-refundable purchase price discount and, where applicable, any additional specific credit risk adjustments.

Institutions shall perform the calculation in accordance with the following formula:

image

where:

CRmax

=

the maximum capital requirement in the case of a qualifying traditional NPE securitisation;

RWEAIRB

=

the sum of risk-weighted exposure amounts of the underlying exposures subject to the IRB Approach;

ELIRB

=

the sum of expected loss amounts of the underlying exposures subject to the IRB Approach;

NRPPD

=

the non-refundable purchase price discount;

EVIRB

=

the sum of exposure values of the underlying exposures that are subject to the IRB Approach;

EVPool

=

the sum of exposure values of all underlying exposures in the pool;

SCRAIRB

=

for originator institutions, the specific credit risk adjustments made by the institution with respect to those underlying exposures subject to the IRB Approach only if and to the extent these adjustments exceed the NRPPD; for investor institutions the amount is zero;

RWEASA

=

the sum of risk-weighted exposure amounts of the underlying exposures subject to the Standardised Approach.

6.  
By way of derogation from paragraph 3 of this Article, where the exposure-weighted average risk weight calculated in accordance with the look-through approach set out in Article 267 is lower than 100 %, institutions may apply the lower risk weight, subject to a 50 % risk-weight floor.

For the purposes of the first subparagraph, originator institutions that apply the SEC-IRBA to a position and that are permitted to use own estimates of LGD and conversion factors for all underlying exposures subject to the IRB Approach in accordance with Chapter 3, shall deduct the non-refundable purchase price discount and, where applicable, any additional specific credit risk adjustments from the expected losses and exposure values of the underlying exposures associated with a senior position in a qualifying traditional NPE securitisation, in accordance with the following formula:

image

where:

RWmax

=

the risk weight, before applying the floor, applicable to a senior position in a qualifying traditional NPE securitisation when the look-through approach is used;

RWEAIRB

=

the sum of risk-weighted exposure amounts of the underlying exposures subject to the IRB Approach;

RWEASA

=

the sum of risk-weighted exposure amounts of the underlying exposures subject to the Standardised Approach;

ELIRB

=

the sum of expected loss amounts of the underlying exposures subject to the IRB Approach;

NRPPD

=

the non-refundable purchase price discount;

EVIRB

=

the sum of exposure values of the underlying exposures that are subject to the IRB Approach;

EVpool

=

the sum of exposure values of all underlying exposures in the pool;

EVSA

=

the sum of exposure values of the underlying exposures that are subject to the Standardised Approach;

SCRAIRB

=

the specific credit risk adjustments made by the originator institution with respect to the underlying exposures subject to the IRB Approach only if and to the extent these adjustments exceed the NRPPD.

7.  

For the purposes of this Article, the non-refundable purchase price discount shall be calculated by subtracting the amount referred to in point (b) from the amount referred to in point (a):

(a) 

the outstanding amount of the underlying exposures of the NPE securitisation at the time those exposures were transferred to the SSPE;

(b) 

the sum of the following:

(i) 

the initial sale price of the tranches or, where applicable, parts of the tranches of the NPE securitisation sold to third party investors; and

(ii) 

the outstanding amount, at the time the underlying exposures were transferred to the SSPE, of the tranches or, where applicable, parts of tranches of that securitisation held by the originator.

For the purposes of paragraphs 5 and 6, throughout the life of the transaction, the calculation of the non-refundable purchase price discount shall be adjusted downwards taking into account the realised losses. Any reduction in the outstanding amount of the underlying exposures resulting from realised losses shall reduce the non-refundable purchase price discount, subject to a floor of zero.

Where a discount is structured in such a way that it can be refunded in whole or in part to the originator, such discount shall not count as a non-refundable purchase price discount for the purposes of this Article.

In Force

Version from: 08/07/2022

Amendment History